TJX Options History — August 2014

In August 2014, TJX traded between $26.56 and $29.89. ATM implied volatility averaged 17.5%, placing in the 46.7% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 8.4% (HV 20d: 25.9%). Max pain ranged from $26.25 to $30.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.69.

Notable Days

  • 2014-08-19: Highest Volume — 51,766 contracts
  • 2014-08-13: Largest IV spike — 46.4% change
  • 2014-08-18: Highest IV Rank — 85.0%
  • 2014-08-13: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.07$26.56$29.89$26.56$29.80
Max Pain$27.81$26.25$30.00$26.25$30.00
ATM IV17.5%13.5%24.1%18.3%14.1%
Expected Move5.9%5.4%6.4%6.2%5.4%
HV 20d25.9%17.9%35.4%17.9%34.1%
HV 60d23.6%16.9%25.3%25.2%23.7%
IV Rank46.7%23.1%85.0%51.4%26.5%
IV Percentile41.2%0.8%97.2%63.1%1.2%
Term Structure-0.2%-2.9%2.3%2.3%1.5%
VWIV21.2%18.7%23.8%21.0%19.1%
Skew 25d2.9%1.1%5.0%1.6%2.0%
Skew 10d6.3%1.6%11.3%4.8%4.6%
Call IV 25d17.8%12.8%23.5%17.6%14.2%
Put IV 25d20.7%16.0%26.1%19.1%16.3%
Bid-Ask Spread %14.769.7725.5811.8014.67
Gamma HHI0.300.260.370.270.30
Net GEX1.5M-2.4M4.1M621.4K3.2M
Net DEX-31.1M-90.8M29.1M11.8M-87.8M
Net VEX-458.7K-512.5K-433.1K-450.9K-456.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.690.087.872.791.56
Total Volume7,589.7141,40251,7661,9322,126
Total OI112,629.61997,962133,56698,014131,340

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$26.56$26.2518.3%6.2%17.9%51.4%21.0%1.6%2.3%621.4K11.8M-450.9K2.7911.80N/AN/A5101,42246,94051,074
2014-08-04$26.86$26.2519.5%6.2%18.2%58.1%22.7%2.5%-0.4%949.3K3.3M-445.5K0.4511.83N/AN/A1,00645247,13251,722
2014-08-05$26.57$26.2519.0%6.2%18.3%55.6%23.3%2.8%-0.5%621.3K11.9M-444.2K1.6411.76N/AN/A54289047,36451,910
2014-08-06$26.95$26.2517.9%6.1%18.6%48.7%23.8%2.7%-0.2%1.1M195.1K-447.4K1.6812.70N/AN/A1,1942,00247,41052,410
2014-08-07$26.75$26.2519.3%6.4%18.2%57.4%22.9%2.6%-0.5%952.8K5.7M-445.2K1.9812.34N/AN/A6661,31647,59051,978
2014-08-08$27.45$26.2516.6%6.3%20.4%41.5%22.8%2.9%-0.6%1.4M-16.2M-453.8K0.4913.99N/AN/A2,7001,33647,77652,636
2014-08-11$27.23$26.2517.1%6.2%20.6%44.0%22.7%2.6%-0.3%1.6M-10.2M-445.8K0.089.77N/AN/A11,59891848,85653,448
2014-08-12$27.11$26.2513.5%6.2%20.5%23.1%20.4%2.9%-0.7%983.5K4.7M-441.0K0.6910.02N/AN/A1,06473444,19053,772
2014-08-13$26.67$26.2519.7%6.4%19.2%59.7%22.4%3.5%-1.8%-804.3K17.2M-433.1K7.8714.51N/AN/A1,39010,94444,65853,796
2014-08-14$26.98$26.2520.9%6.2%19.3%66.8%22.3%2.6%-1.1%-982.3K16.4M-453.1K4.8214.34N/AN/A8444,07244,50859,942
2014-08-15$26.57$26.2523.5%6.3%19.6%81.6%21.4%3.4%-2.7%-2.4M29.1M-452.3K2.0515.99N/AN/A1,4382,94444,84663,012
2014-08-18$26.95$0.0024.1%5.9%19.7%85.0%21.4%2.6%-2.9%-1.2M15.2M-457.7K0.4918.57N/AN/A18,4309,06041,88057,798
2014-08-19$29.28$28.7518.0%5.7%35.0%49.5%19.9%1.1%-0.1%2.1M-67.9M-449.1K0.5025.58N/AN/A34,43217,33453,09863,306
2014-08-20$29.70$30.0016.2%5.5%35.1%39.0%21.5%5.0%0.2%3.4M-88.6M-491.9K0.4917.41N/AN/A7,3303,61862,86066,002
2014-08-21$29.45$28.7515.8%5.5%35.4%36.7%19.4%4.2%0.2%4.1M-84.7M-512.5K0.6616.70N/AN/A3,4322,28266,85866,708
2014-08-22$29.68$30.0015.0%5.5%34.8%31.8%19.8%3.7%1.0%3.0M-79.5M-486.9K0.7014.87N/AN/A1,7621,23860,54668,290
2014-08-25$29.49$30.0015.0%5.4%35.1%32.2%18.7%3.3%0.8%3.2M-73.4M-481.7K1.1616.21N/AN/A1,2381,43260,82868,084
2014-08-26$29.75$30.0014.9%5.5%34.9%31.3%19.3%4.0%0.8%3.2M-83.8M-470.3K0.9015.73N/AN/A73866461,19068,484
2014-08-27$29.77$30.0014.8%5.4%34.5%30.9%19.3%3.8%0.6%3.3M-86.1M-463.6K3.5316.42N/AN/A5241,85061,37468,624
2014-08-28$29.89$30.0014.5%5.4%34.1%29.1%21.7%1.1%1.3%3.1M-90.8M-450.0K0.9514.82N/AN/A98293061,24869,734
2014-08-29$29.80$30.0014.1%5.4%34.1%26.5%19.1%2.0%1.5%3.2M-87.8M-456.1K1.5614.67N/AN/A8321,29461,41469,926